thetaOwl

HYG

iShares iBoxx High Yield Corporate Bond ETFClose $79.91EOD only
Max Pain
$79.50
Next expiry May 29, 2026
Expected Move
±$0.41
0.5% from close
Price Gap
-0.41
Distance to max pain
IV Rank
4
Low premium
P/C OI
3.83
Slightly put-heavy
Consensus
9.0/10
Bearish tilt
Published snapshot: May 22, 2026 close
End-of-day snapshot

This page reflects HYG options positioning from the latest published market-close snapshot. Intraday price and contract changes are not displayed.

Published Snapshot
May 22, 2026 close
HYG Theta Report
Analysis based on market close April 9, 2026

Historical consensus-supported lens with full content, report chain context, and metric rail.

You are viewing an older report from April 9, 2026. A newer theta report is available for May 22, 2026.

View latest report

Theta Verdict

Attractiveness4.5 / 10
Sizing: Conservative
Primary: Defined-risk put spreads (CSP verticals) sized small — avoid naked short gamma
Invalidation: Close below gamma flip ~$79
Confidence:
8 / 10
base 5; +2 GEX/flow strongly aligned (bearish trending); +1 spot ~At MP; no data quality penalty

IV Environment

IV Regime
Low
IV vs VIX
IV 9.8% vs VIX null — absolute IV depressed for a credit product
Favorable?
No

Term structure: Near-term skews show low ATM vols (8-16d ATM 6.6%-7.5%) with a small bump at 22d (2026-05-01 ATM 15.8%) — mixed term structure creates single-calendar opportunities

🔻Avg IV 9.8% — low for HYG; premium available is thin
🕰️22d expiry (2026-05-01) shows higher ATM IV 15.8% — consider calendar/diagonal to harvest term premium

Pin Risk Assessment

Spot vs MP: At (Spot $80.28 vs Max Pain cluster at $80 / $79.50 across expiries)

GEX regime: Trending (GEX -$899.9M) — strong negative GEX implies dealers short gamma and potential for trend acceleration

Gamma flip: ~$79.00Below ~$79 dealers flip to positive hedging sensitivity; current gamma flip sits ~1.6% below spot and is a critical invalidation level for short credit positions

OI concentrations: Large put OI wall at $79.00 (553,906 OI) plus call wall at $81.00 (247,207 OI) creating local magnets; GEX concentration +$715.6M at $81.00 and +$121.3M at $80.50

Verdict: Threatens credit positions — negative GEX (trending) increases tail risk; existing OI walls provide some pin magnet but dealers' negative gamma can amplify directional moves

Premium Opportunities

#1
put spread
Sell 2026-05-15 77 / 75 put spread (36 DTE)
Defined-risk put vertical conserves premium while avoiding naked short gamma in a negative-GEX regime. 77 and 75 are inside the put OI cluster (77 OI 418,635; 75 OI 298,889) so dealer hedging and max-pain near $80 improve probability of success.
Credit: $0.10-$0.25
Max loss: $1.90
BE: 76.90 (short 77 - credit received)
Mgmt: Close at 65% of max profit; roll down 1-2 strikes wider or to later expiry if price touches short 77; cut losses and buy back if HYG closes below gamma flip $79 on daily basis or if spread reaches 50% of max loss
#2
iron condor (defined-risk)
Sell 2026-05-15 79/81 call spread and 75/73 put spread (36 DTE)
Collects neutral premium around the concentrated MP band near $80 while keeping risk defined. Use wider wings (2-point widths) because IV is low; heavy put OI below spot supports the short put wing but negative GEX argues for defined risk on both sides.
Credit: $0.12-$0.30
Max loss: $1.70
BE: Upper ~81.00 + (credit) and Lower ~73.00 - (credit) — approximate wing breakevens 81.60/73.40 depending on credit
Mgmt: Take profits at 50% of max profit; close/roll if HYG tests either short strike for 2 consecutive daily closes; if market breaks below gamma flip $79, close the put side and hedge the call side
#3
covered call / buy-write
Buy HYG shares and sell 2026-05-15 81 call (36 DTE)
Low IV makes naked call selling risky, but buying the underlying and selling calls (covered call) is conservative income. The 81 strike lines up with a large call OI wall (81.00 OI 247,207) and strong GEX +$715.6M at $81, making assignment / pin likelihood meaningful and providing a clear exit level.
Credit: $0.10-$0.30
Max loss: Stock downside (unlimited) offset by premium — effective basis reduced by credit; example: purchase at $80.28 - credit
BE: Net basis = $80.28 - credit (if credit $0.20 → breakeven ~$80.08)
Mgmt: Close at 70% of max option profit or buy back if HYG rallies above 81.50; if HYG drops below 79 for multiple days, consider rolling down calls or closing to limit basis damage
#4
calendar (front-month sell, back-month buy)
Sell 2026-04-17 (8d) or 2026-04-24 (15d) 80 short call and buy 2026-05-15 (36d) 80 call (calendar)
Temporal arbitrage: very low ATM front vols (8d ATM 7.5%) vs a bump at 22d (May 1 ATM 15.8%) offers a limited-cost calendar to sell front gamma while long the later expiration. Use same-strike 80 since spot ~80.28 and MP pins at $80.
Debit: $0.05-$0.40
Max loss: $0.40
BE: Depends on calendar cost; structure profits if front month decays faster than back month and spot remains near $80
Mgmt: Buy back short front-week if volatility spikes or price moves >$0.60 away from $80; plan to close before front expiry to avoid assignment; target 50-75% of max theoretical calendar gain, or convert to diagonal if directional movement appears

Risk Alerts

!Large negative GEX (-$899.9M) — dealers are short gamma; expect potential trend acceleration and larger moves than expected by low IV.
!Low avg IV (9.8%) — limited edge for naked premium sellers; avoid large naked positions and prefer defined-risk structures.
!Gamma flip ~$79 — if HYG closes below this level repeatedly, dealer dynamics change and short-credit positions become high risk.
!Put OI concentration: massive put interest at $79.00 (553,906 OI) — can act as magnet but also indicates heavy one-sided positioning; a breakdown through $77-$75 (put floor area) could be accelerated.
!Unusual flow skewed to puts (Top premium flow shows heavy net put flow at $79/$77/$76) — institutional directional put demand exists and could push price down quickly.
How to Use These Reports
This theta reflects the market close on April 9, 2026.
What the reports do

Each report translates the same market-close options snapshot into a specific lens such as directional bias, premium-selling posture, flow quality, or earnings setup.

How traders use them

Reports are most useful for narrowing the playbook, surfacing entry and risk context, and deciding which raw data page to inspect next.

What to remember

These are interpretation layers, not execution guarantees. Validate the setup against chain liquidity, expected move, and exposure before sizing risk.

If the report conviction and the raw data disagree, slow down and resolve the mismatch before sizing risk.